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Ludwig-Maximilians-Universität München (LMU)
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Ludwig-Maximilians-Universität München (LMU)
Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Ludwig-Maximilians-Universität München (LMU)
Discussion Papers, Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Ludwig-Maximilians-Universität München
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Results 1-9 of 9.
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Year of Publication
Title
Author(s)
2005
A limit theorem for copulas
Lindner, Alexander M.
;
Szimayer, Alexander
2005
Extremal behavior of stochastic volatility models
Fasen, Vicky
;
Klüppelberg, Claudia
;
Lindner, Alexander M.
2003
Extremal behavior of finite EGARCH processes
Lindner, Alexander M.
;
Meyer, Katharina M. M.
2005
A continuous time GARCH process of higher order
Brockwell, Peter J.
;
Chadraa, Erdenebaatar
;
Lindner, Alexander M.
2005
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models
Klüppelberg, Claudia
;
Lindner, Alexander M.
;
Maller, Ross
2004
Some aspects of Levy copulas
Barndorff-Nielsen, Ole Eiler
;
Lindner, Alexander M.
2005
A continuous time GARCH process driven by a Levy process: stationarity and second order behaviour
Klüppelberg, Claudia
;
Lindner, Alexander M.
;
Maller, Ross
2003
Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes
Klüppelberg, Claudia
;
Lindner, Alexander M.
;
Maller, Ross
2005
Extreme value theory for moving average processes with light-tailed innovations
Klüppelberg, Claudia
;
Lindner, Alexander M.
Author
5
Klüppelberg, Claudia
3
Maller, Ross
1
Barndorff-Nielsen, Ole Eiler
1
Brockwell, Peter J.
1
Chadraa, Erdenebaatar
1
Fasen, Vicky
1
Meyer, Katharina M. M.
1
Szimayer, Alexander
year of Publication
6
2005
1
2004
2
2003